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Abstract
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the
growing market shares of futures speculators destabilize commodity spot prices. We approximate
conditional volatility and analyze how it is affected by speculative open interest. In this
context, we split our sample into two equally long subperiods and document whether the
speculative impact on conditional volatility increases. With respect to six heavily traded agricultural
and energy commodities, we do not find robust evidence that this is the case.We thus
conclude that the financialization of raw material markets does not make them more volatile.